There is no need to burn a CD, then read the CD and convert the result to the desired format. In the example given, waynelee suggests doing this if the original is downloaded "into your iTunes," then burned to a CD, etc. The file is not "in" iTunes. iTunes is a computer program (application). A file is not "in" a computer program. The downloaded music is a file in the file system on your hard drive.

At least on the Macintosh, you can use "Show in Finder" (File menu) to locate the file. I'm less familiar with the Windows version of iTunes but I suspect that it's just as easy. But easy or hard, the point is that the file already exists on your hard drive, so burning it to a CD and then reading it back in is totally unnecessary--and loses quality.

There are numerous applications, some of them free, that can convert audio files from one format to another.